Senior Manager Model Risk Management & Validation

Job Details

Job Purpose :
Primary responsibility is for the development and implementation of Model Risk Management governance and the validation of credit and market risk models at the Bank risk management department in line with internal policies and regulatory requirements.

Key Responsibilities:

• Responsible to conduct robust and comprehensive qualitative and quantitative validation of IFRS 9, PD Ratings/Scorecards, Stress Testing, statistical and deterministic models used in ICAAP/Pilar II and Market and Liquidity Risk models in line with the Bank Model Validation Guidelines and the Model Governance Framework and ensuring compliance with regulatory requirements

• Perform data due diligence and data preparation required for the validation of models

• Ensure models are validated within the pre-defined validation frequency

. Discuss validation results and validation findings with the different stakeholders, reaching agreements on the remediation process and keeping track of the timeliness and progress of such actions

• Ensure accuracy and completeness of archived validation information (data, codes, working files and related documentation) to allow independent third-party review of the validation work performed

• Provide technical review of the quantitative solutions proposed by the model developer to the model owners in a timely manner

• Coordinate with other quantitative analysts within the Bank to ensure that models and solutions are consistent and in-line with the Bank practices • Support on the development and maintenance of the Model Risk Management framework covering the Model Governance Framework and related policies, including risk appetite, risk policies and other processes regarding to models, in line with applicable regulations and industry best practices.



Master’s degree in quantitative finance / financial engineering or equivalent.

Experience Minimum: 8 years of experience in the field of quantitative models pertaining to Risk Management (not limited to risk rating/scoring, alternate data models, stress test/ICAAP models, market, liquidity and profit rate risk models, behavioral models, valuation models for investment and treasury products, compliance/AML models etc.) Experience may include the development and / or validation of quantitative models including model risk governance